No label defined (Q4940272)

The authors consider the following Cauchy problem on the interval \([0,T]:\) \[ {dX_{\varepsilon}^{u}\over dt} =a(t,X_{\varepsilon}^{u}(t)) + \sigma(t,X_{\varepsilon}^{u}(t)) u(t,X_{\varepsilon}^{u}(t))+ \sigma(t,X_{\varepsilon}^{u}(t)) \eta(t/\varepsilon),\quad X_{\varepsilon}^{u}(0)=x_0, \tag{1} \] where \(\eta(t)\), \(t\geq 0\), is a restricted stationary process with zero mean. The uniformly strong mixing condition or the regularity condition is fulfilled for \(\eta(t).\) The functions \(a(t,x)\), \(\sigma(t,x)\) and \(u(t,x)\) are such that the strong solution to problem (1) exists in the class \(C[0,T].\) Let \(U\) be the set of admissible controls. The problem is to obtain the optimal control for (1). For this purpose one must minimize the quality functional \[ V_{\varepsilon}^{u}(0,x_0,X_{\varepsilon}^{u}(\cdot))= E\exp\Biggl\{\Phi(X_{\varepsilon}^{u}(T))+ \int_0^{T}\biggl[\theta(t,X_{\varepsilon}^{u}(t))+{1\over 2\varepsilon} u^2(t,X_{\varepsilon}^{u}(t)) \biggr]dt\Biggr\}. \] This problem is very difficult. The authors solve this problem in the following way. They find the optimal control \(u^{\ast}(t,x)\) for the system \[ d\xi_{\varepsilon}^{u}(t)=[a(t,\xi_{\varepsilon}^{u}(t)) + \sigma(t,\xi_{\varepsilon}^{u}(t)) u(t,\xi_{\varepsilon}^{u}(t))]dt+ \sqrt{\varepsilon}\sigma(t,\xi_{\varepsilon}^{u}(t)) dw(t), \quad \xi_{\varepsilon}^{u}(0)=x_0, \] such that \(V_{\varepsilon}^{u^{\ast}}(0,x_0, X_{\varepsilon}^{u}(\cdot)) \leq V_{\varepsilon}^{u^{\ast}} (0,x_0,X_{\varepsilon}^{u}(\cdot))+p(\varepsilon)\), where \(p(\varepsilon)\to 0\) as \(\varepsilon\to 0.\) The authors call the optimal control \(u^{\ast}(t,x)\) \(\varepsilon\)-sufficient control for system (1).